ASFYX vs. XLK

Last updated Jun 4, 2026

ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) and XLK (State Street Technology Select Sector SPDR ETF) are both funds - ASFYX is a Systematic Trend fund managed by BlackRock, while XLK is a Technology Equities fund tracking the S&P Technology Select Sector Daily Capped 35/20 Index. Over the past 10 years, ASFYX returned 2.97%/yr vs 25.84%/yr for XLK. At a 0.19 correlation, their price movements are largely independent. ASFYX charges 1.47%/yr vs 0.08%/yr for XLK.

Performance

ASFYX vs. XLK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and State Street Technology Select Sector SPDR ETF (XLK). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ASFYX achieves a 15.25% return, which is significantly lower than XLK's 36.47% return. Over the past 10 years, ASFYX has underperformed XLK with an annualized return of 2.97%, while XLK has yielded a comparatively higher 25.84% annualized return.

ASFYX

• 1D: 0.56%
• 1M: 1.71%
• YTD: 15.25%
• 6M: 17.77%
• 1Y: 26.49%
• 3Y*: -1.44%
• 5Y*: 3.02%
• 10Y*: 2.97%

XLK

• 1D: -1.00%
• 1M: 21.09%
• YTD: 36.47%
• 6M: 35.71%
• 1Y: 66.93%
• 3Y*: 33.90%
• 5Y*: 23.83%
• 10Y*: 25.84%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ASFYX vs. XLK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	15.25%	-9.67%	-3.22%	-10.33%	35.67%	3.52%	13.59%	8.99%	-12.59%	6.78%
XLK State Street Technology Select Sector SPDR ETF	36.47%	24.61%	21.63%	56.02%	-27.73%	34.74%	43.62%	49.86%	-1.68%	34.26%

Correlation

The correlation between ASFYX and XLK is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.40
Correlation (3Y) Calculated over the trailing 3-year period	0.28
Correlation (5Y) Calculated over the trailing 5-year period	0.13
Correlation (10Y) Calculated over the trailing 10-year period	0.19
Correlation (All Time) Calculated using the full available price history since Aug 4, 2010	0.19

Over the past year, ASFYX and XLK have become more correlated (0.40) than their long-term average of 0.19, meaning their price movements have been converging.

Return for Risk

ASFYX vs. XLK — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ASFYX

ASFYX Risk / Return Rank: 67
ASFYX Sharpe Ratio Rank: 56
ASFYX Sortino Ratio Rank: 48
ASFYX Omega Ratio Rank: 51
ASFYX Calmar Ratio Rank: 92
ASFYX Martin Ratio Rank: 89

XLK

XLK Risk / Return Rank: 83
XLK Sharpe Ratio Rank: 91
XLK Sortino Ratio Rank: 85
XLK Omega Ratio Rank: 83
XLK Calmar Ratio Rank: 80
XLK Martin Ratio Rank: 73

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ASFYX vs. XLK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and State Street Technology Select Sector SPDR ETF (XLK). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	ASFYX	XLK	Difference
Sharpe ratio: Return per unit of total volatility	2.20	3.24	-1.03
Sortino ratio: Return per unit of downside risk	2.93	3.92	-0.99
Omega ratio: Gain probability vs. loss probability	1.39	1.52	-0.13
Calmar ratio: Return relative to maximum drawdown	4.95	4.22	+0.72
Martin ratio: Return relative to average drawdown	17.88	14.16	+3.72
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ASFYX vs. XLK - Sharpe Ratio Comparison

The current ASFYX Sharpe Ratio is 2.20, which is lower than the XLK Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of ASFYX and XLK, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ASFYX	XLK	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.20	3.24	-1.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.22	0.96	-0.74
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.23	1.06	-0.82
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.42	-0.07

Drawdowns

ASFYX vs. XLK - Drawdown Comparison

The maximum ASFYX drawdown since its inception was -36.43%, smaller than the maximum XLK drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for ASFYX and XLK.

Drawdown Indicators

	ASFYX	XLK	Difference
Max Drawdown Largest peak-to-trough decline	-36.43%	-82.05%	+45.62%
Max Drawdown (1Y) Largest decline over 1 year	-5.24%	-15.92%	+10.68%
Max Drawdown (3Y) Largest decline over 3 years	-30.32%	-25.66%	-4.66%
Max Drawdown (5Y) Largest decline over 5 years	-36.43%	-33.56%	-2.87%
Max Drawdown (10Y) Largest decline over 10 years	-36.43%	-33.56%	-2.87%
Current Drawdown Current decline from peak	-18.22%	-1.00%	-17.22%
Average Drawdown Average peak-to-trough decline	-13.18%	-34.96%	+21.78%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.45%	4.74%	-3.29%

Volatility

ASFYX vs. XLK - Volatility Comparison

The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 3.67%, while State Street Technology Select Sector SPDR ETF (XLK) has a volatility of 6.98%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than XLK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ASFYX	XLK	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.67%	6.98%	-3.31%
Volatility (6M) Calculated over the trailing 6-month period	9.54%	16.68%	-7.14%
Volatility (1Y) Calculated over the trailing 1-year period	11.77%	20.82%	-9.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.77%	24.90%	-11.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.71%	24.49%	-11.78%

ASFYX vs. XLK - Expense Ratio Comparison

ASFYX has a 1.47% expense ratio, which is higher than XLK's 0.08% expense ratio.

Dividends

ASFYX vs. XLK - Dividend Comparison

ASFYX's dividend yield for the trailing twelve months is around 1.32%, more than XLK's 0.39% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.32%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%
XLK State Street Technology Select Sector SPDR ETF	0.39%	0.54%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%

Frequently Asked Questions

Can I hold both ASFYX and XLK in my portfolio?

ASFYX and XLK have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ASFYX or XLK?

XLK has higher volatility (6.98%) compared to ASFYX (3.67%). In terms of maximum drawdown, ASFYX dropped -36.43% vs XLK's -82.05%.

Which has better risk-adjusted returns?

XLK currently has the higher Sharpe Ratio (3.24 vs 2.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.